Search found 2 matches
- Mon Sep 06, 2010 2:38 pm
- Forum: Estimation
- Topic: RiskMetrics applied to covariance
- Replies: 0
- Views: 2293
RiskMetrics applied to covariance
Hi all, I'm rather new to Eviews and Im figuring out how to apply RiskMetrics/exponential smooting to past covariance between two assets. However, I dont seem to get what kind of covariance-data I should import in Eviews at which the ex.smoothing should be applied. Should this be covariance based on...
- Sun May 30, 2010 2:25 pm
- Forum: Econometric Discussions
- Topic: rolling correlation
- Replies: 16
- Views: 37908
rolling correlation
Hi there,
I am currently struggling with calculating a rolling (monthly) correlation coefficient, for a period of 17 years (between VIX and S&P500) Does anyone have a clue how to do this in Eviews? I have very little experience with this program..
Many thanks in advance!
regards,
Jacintha
I am currently struggling with calculating a rolling (monthly) correlation coefficient, for a period of 17 years (between VIX and S&P500) Does anyone have a clue how to do this in Eviews? I have very little experience with this program..
Many thanks in advance!
regards,
Jacintha